Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0795
Annualized Std Dev 0.1913
Annualized Sharpe (Rf=0%) 0.4155

Row

Daily Return Statistics

Close
Observations 4313.0000
NAs 1.0000
Minimum -0.1199
Quartile 1 -0.0040
Median 0.0008
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0055
Maximum 0.1146
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0007
Variance 0.0001
Stdev 0.0121
Skewness -0.2586
Kurtosis 13.7831

Downside Risk

Close
Semi Deviation 0.0088
Gain Deviation 0.0087
Loss Deviation 0.0101
Downside Deviation (MAR=210%) 0.0133
Downside Deviation (Rf=0%) 0.0087
Downside Deviation (0%) 0.0087
Maximum Drawdown 0.5596
Historical VaR (95%) -0.0178
Historical ES (95%) -0.0300
Modified VaR (95%) -0.0170
Modified ES (95%) -0.0212
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2013-02-19 -0.5596 1349 355 994
2020-02-20 2020-03-23 2020-08-12 -0.3428 122 23 99
2018-09-21 2018-12-24 2019-04-29 -0.2022 150 65 85
2015-05-22 2016-02-11 2016-07-12 -0.1502 287 183 104
2018-01-29 2018-04-02 2018-08-24 -0.1011 146 44 102

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA 1 0.7 0 0 -1.2 0 0.3 1.7 0 1.2 0 3.7
2005 0.8 0.5 -0.7 0.7 0.7 0 0.2 0.4 0.2 -0.3 1.3 -0.3 3.4
2006 0.3 0.7 -0.2 -0.1 1.3 0 -0.5 0.6 -0.2 -0.6 -0.4 -0.5 0.3
2007 0.5 -0.3 -0.2 0.1 0.4 -0.3 1 1 1.4 -2.3 0.5 -0.7 0.9
2008 1.5 -2.5 3.3 1.6 0.2 0.4 -0.6 -1.4 -0.8 1.6 -8.8 2 -4.1
2009 -2 -1.8 1.8 0.4 2.5 0.4 0.1 -2.2 -2.5 -2.8 1.2 -1 -6.1
2010 1.4 1 0.7 -1.7 -1.7 -0.3 0.1 3 0.4 0.1 2.1 0 5.1
2011 1.6 -1.7 0.5 0.3 -2.2 1.5 -0.5 -1.2 -2.4 -2.8 -0.1 -0.5 -7.3
2012 1 0.9 0.3 0.6 -2.6 2.6 -0.2 0.5 0.2 1.1 0 1.8 6.3
2013 1 0.2 -0.3 -0.9 -1.4 0.6 1.3 -0.4 0.8 0.2 0 0.5 1.4
2014 -0.6 0.3 0.7 0 0.1 0.7 -0.3 0.3 -1.4 1.1 -0.7 -1 -0.8
2015 -1.4 -0.3 -0.5 1.1 0.2 0.7 -0.2 -2.9 0.2 -0.4 1 -0.9 -3.3
2016 0 2.5 0.6 -0.5 0.2 0.2 -0.1 0 0.8 -0.7 -0.4 -0.4 2.2
2017 0 1.3 -0.2 0.2 0.8 0.1 0.2 0.2 0.3 0.1 -0.1 -0.4 2.6
2018 -0.1 -1.3 1.4 0.2 1 0.1 -0.1 0 0.3 1.1 0.7 0.9 4.3
2019 0.1 0.7 1.1 -0.7 -1.3 0.8 -0.9 -0.1 -1.2 1 -0.4 0.3 -0.8
2020 -1.8 -0.7 -4.4 -2.6 0.5 0.8 0.7 0.8 0.7 -1.1 1.2 0.4 -5.4
2021 1.5 2.5 -0.1 NA NA NA NA NA NA NA NA NA 4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-01-30  49.4 SPY    113.  0        -0.0083   0.0207   0.0789    0.344   -0.168  -0.0998 <NA>     NA    NA       NA
2 2004-02-02  49.5 SPY    114.  0.0043   -0.0164   0.0242   0.0813    0.324   -0.162  -0.0853 <NA>     NA    NA       NA
3 2004-02-03  49.7 SPY    114. -0.0017   -0.0078   0.0229   0.0805    0.320   -0.163  -0.102  <NA>     NA    NA       NA
4 2004-02-04  49.3 SPY    113. -0.0082   -0.0046   0.0036   0.0647    0.322   -0.174  -0.116  <NA>     NA    NA       NA
5 2004-02-05  49.4 SPY    113.  0.00290  -0.0026   0.0056   0.0702    0.334   -0.179  -0.108  <NA>     NA    NA       NA
6 2004-02-06  50.0 SPY    114.  0.0112    0.0085   0.0135   0.0813    0.355   -0.165  -0.0926 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart